融资融券制度对控股股东股权质押行为的影响研究
Research on the influence of margin trading system on the equity
pledge of controlling shareholders
张兼源
Jianyuan Zhang
分类号密级
U D C 编号
硕士学位论文
学位论文题目：融资融券制度对控股股东股权质押行为的影响研究
姓名张兼源
学号2020210218
专业金融学
学位类别：学术硕士□专业硕士□同等学力
学科专业金融学
指导教师孙建华
第二导师
提交论文日期：2023年2月10日
摘要
上世纪九十年代以后，我国逐渐开放股票市场。不过直到2010年左右，股权质押
行为才大规模出现，成为资本市场一种举足轻重的融资方式。控股股东股权质押的影
响有利有弊，其在缓解上市企业融资约束的同时，也加剧了资本市场的股价崩盘风险。
从我国2015年出现的由股权质押滚雪球式崩塌导致的系统性下跌，到2018年股权质
押暴雷，可见这一市场存在着较大的潜在风险和安全隐患，需要政府和行业监管机构
等主体加强重视，时刻关注。信用交易制度是影响上市公司股价涨跌的一项重要因素。
2010年3月正式实施融资融券交易制度以后，我国资本市场正式结束了单边市场的局
面，提高了股票定价效率。根据现有的学术研究，卖空交易机制优势明显，不仅可以提
高资本市场定价效率和市场流动性，也可以发挥外部治理效应，完善企业信息披露机
制，降低委托代理双方信息不对称程度，提高上市公司的治理水平，降低企业面临的风
险。
本文利用2005年至2020年A 股部分上市公司的数据，利用多时点DID 模型实证
检验了融资融券卖空机制对控股股东股权质押行为的影响，即研究控股股东的股权质
押程度和质押意愿有什么变化。实证结果表明：融资融券卖空机制对控股股东的股权
质押程度和质押意愿有着显著的抑制作用，具体表现在控股股东股权质押比率的下降
以及股权质押行为的减少。通过进一步研究发现，在具有较少政治权利的民营企业和
处于高竞争行业的上市公司中，这一抑制作用更加明显。除此之外，通过进行中介机制
检验可以发现，卖空机制通过减轻信息不对称、提高上市公司信息透明度来抑制大股
东的股权质押行为，并通过提高内部控制质量、发挥内部治理效应的途径对控股股东
行为造成影响。本文的研究丰富了关于控股股东股权质押影响因素的相关研究，也拓
展了卖空机制对微观企业的治理效应研究。
根据以上结论，本文提出以下三点政策建议：第一，进一步推动融资融券交易制度
的发展，扩大A 股市场融资融券标的范围，发挥融券卖空机制的治理效应。第二，监
管机构要加大关注力度，继续提高关于大股东股权质押的信息披露水平、完善信息披
露机制。第三，针对上市公司本身，也要加强内部控制机制的建设，提高治理水平。
关键词：融资融券制度；卖空机制；控股股东；股权质押；治理效应
Abstract
After the 1990s,China gradually opened the stock market.However,until around 2010,
equity pledge behavior appeared on a large scale and became a significant financing method
in the capital market.The impact of equity pledge of controlling shareholders has both
advantages and disadvantages.It not only alleviates the financing constraints of listed
companies,but also exacerbates the risk of stock price collapse in the capital market.From
the systematic decline caused by the snowball collapse of equity pledge in China in 2015to
the thunderstorm of equity pledge in 2018,it can be seen that there are large potential risks
and security risks in this market,which needs the attention of the government and industry
regulators and other entities.The credit trading system is an important factor that affects the
rise and fall of the share price of listed companies.After the formal implementation of the
margin trading system in March 2010,China's capital market officially ended the situation of
the unilateral market and improved the efficiency of stock pricing.According to the existing
academic research,the short selling mechanism can not only improve the pricing efficiency
and market liquidity of the capital market,but also play an external governance effect,improve
the enterprise information disclosure mechanism,reduce the degree of information asymmetry
between the principal and agent,improve the governance level of listed companies,and reduce
the risks faced by enterprises.
Using the data of some A-share listed companies from 2005to 2020,this paper
empirically tests the impact of the short selling mechanism of margin trading on the equity
pledge behavior of the controlling shareholders by using the multi-time point DID model,that
is,to study the changes in the degree of equity pledge and pledge intention of the controlling
shareholders.The empirical results show that the short selling mechanism of margin trading
has a significant inhibitory effect on the degree of equity pledge and pledge willingness of the
controlling shareholders,which is reflected in the decline of the ratio of equity pledge of the
controlling shareholders and the reduction of equity pledge behavior.Through further research,
it is found that this inhibitory effect is more obvious in private enterprises with less political
rights and listed companies in highly competitive industries.In addition,through the
inspection of the intermediary mechanism,we can find that the short selling mechanism can
reduce the information asymmetry and improve the information transparency of listed
companies to restrain the equity pledge behavior of major shareholders,and affect the behavior
of controlling shareholders by improving the quality of internal control and giving play to the
internal governance effect.The research in this paper enriches the relevant research on the
influencing factors of equity pledge of controlling shareholders,and also expands the research
on the governance effect of short selling mechanism on micro-enterprises.
Based on the above conclusions,this paper puts forward the following three policy
recommendations:First,further promote the development of the margin trading system,
expand the scope of margin trading in the A-share market,and give play to the governance
effect of the short selling mechanism.Second,regulators should pay more attention,continue
to improve the level of information disclosure on the pledge of major shareholders'equity,and
improve the information disclosure mechanism.Third,for listed companies themselves,we
should also strengthen the construction of internal control mechanism and improve the level
of governance.
Key words：margin trading system;short-selling mechanism;controlling shareholder;equity
pledge;governance effect